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RANDOM COEFFICIENT MODELS: THEORY AND APPLICATIONS
Author(s) -
Swamy P. A. V. B.,
Tavlas George S.
Publication year - 1995
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.1995.tb00113.x
Subject(s) - econometrics , econometric model , variety (cybernetics) , random effects model , estimation , simple (philosophy) , computer science , mathematics , statistics , economics , medicine , philosophy , meta analysis , management , epistemology
. This paper provides an overview of the rationale behind, and the implementation, and uses of, the random coefficient approach to econometric modelling. A simple random coefficient model is presented, and methods for estimating, testing, and validating such a model are described. A more general model is then presented. The general model is shown to include several fixed‐coefficient models as special cases and can be estimated incorporating a variety of judgements concerning simplification. Finally, the paper reviews recent applications of random coefficient estimation.